"It was a very, very slow process that all started with watching movies, listening to interviews, poring over books and it was something that started in my living room," she said at the New York Film Festival.

Michelle also had a team of voice coaches to help her get Marilyn's breathy voice right.

"I'm not a singer. I have not sang since I was 10 years old," she revealed.

"I was taught about breathing, about how to deliver emotion on the lines instead of just saying the words. So I had [my coach] and then I listened to [Marilyn]. She still comes up on my iPod all the time."

The 31-year-old tried to find the real Marilyn beneath the public persona.

"The first big discovery I landed on was that Marilyn Monroe was a character she played. The image you're most familiar with, there's a person underneath there," she explained.

"[Her persona] was carefully honed but it was artifice and it was honed to where you couldn't tell that it was artifice. It felt so real but it was something that she had studied and perfected and crafted."